Select interviews
To see a selection of short interviews with some recent alumni, go to our Interviews Page.
Information about Recent Financial Mathematics alumni
Select recent publications of research with graduate students Details
(For more complete listing, see the Affiliated Faculty web pages and the Department's e-print archive.)
| Authors | Title | Journal | Year |
|---|---|---|---|
| Shreya Bose and Ibrahim Ekren | Kyle-Back models with risk aversion and non-Gaussian beliefs | To appear in Annals of Applied Probability | 2023 |
| Shreya Bose and Ibrahim Ekren | Multidimensional Kyle-Back model with a risk averse informed trader | arXiv:2008.06377 | 2023 |
| Ibrahim Ekren, Brad Mostowskin and Gordan Zitkovic | Kyle's Model with Stochastic Liquidity | arXiv:2204.11069 | 2023 |
| Yiran Chen and G. Okten | A goodness-of-fit test for copulas based on the collision test | Statistical Papers | 2022 |
| Nima Salehy and G. Okten | Monte Carlo and quasi-Monte Carlo methods for Dempster's rule of combination | International Journal of Approximate Reasoning 145, 163-186 | 2022 |
| Navid Salehy, Nima Salehy and A. Kercheval | Pricing and hedging options conditional on market activity | Journal of Mathematical Finance 12:1, 1-19 | 2022 |
| Hubeyb Gurdogan and A. Kercheval | Multiple anchor point shrinkage for the sample covariance matrix | SIAM Journal on Financial Mathematics 13:3, 1112-1143 | 2022 |
| Haixu Wang | Limit theorems for a discrete-time marked Hawkes process | Statistics & Probability Letters 184:109368 | 2022 |
| Haixu Wang | Large and moderate deviations for a discrete-time marked Hawkes process | Communications in Statistics-Theory and Methods | 2022 |
| Jamie Fox and G. Okten | Brownian path generation and polynomial chaos | SIAM Journal on Financial Mathematics 12:2, 724-743 | 2021 |
| Jamie Fox and G. Okten | Polynomial chaos as a control variate method | SIAM Journal on Scientific Computing 43:3, A2268-A2294 | 2021 |
| A. Camuto, Xiaoyu Wang , L. Zhu, C. Holmes, M. Gurbuzbalaban and U. Simsekli | Asymmetric heavy tails and implicit bias in Gaussian noise injections | International Conference on Machine Learning | 2021 |
| Zailei Cheng and Y. Seol | Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims | Methodology and Computing in Applied Probability 22:2, 555-571 | 2020 |
| Arun Kumar Polala and G. Okten | Implementing de-biased estimators using mixed sequences | Monte Carlo Methods and Applications 26:4, 293-301 | 2020 |
| Zailei Cheng and Y. Seol | Precise deviations for Cox processes with a shot noise intensity | Communications in Statistics-Theory and Methods 48:23, 5850-5861 | 2019 |
| C.-Y. Chiu and A. Kercheval | Modeling credit risk in the jump threshold framework | Applied Mathematical Finance, DOI: 10.1080/1350486X.2018.1465349 | 2018 |
| Wan-Yu Tsai and A. Fahim | A numerical scheme for a singular control problem: Investment-consumption under proportional transaction costs | Journal of Computational and Applied Mathematics, 333, 170-184 | 2018 |
| Yu-Ying Tzeng, P. Beaumont, G. Okten | Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall | Computational Economics 52:1, 55-77 | 2018 |
| David Mandel, G. Okten | Randomized Sobol' Sensitivity Indices | Monte Carlo and Quasi-Monte Carlo Methods, Springer Proceedings in Mathematics & Statistics, vol 241, pp. 395-408. Springer International Publishing. | 2018 |
| Hua-Yi Lin and A. Fahim | Optimal portfolio execution under time-varying liquidity constraints | Applied Mathematical Finance 24:5, 387-416 | 2017 |
| Zailei Cheng | Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate | International Journal of Financial Engineering 4:1, 1750010 | 2017 |
| A. Kercheval and P. Garreau | A structural jump threshold framework for credit risk | SIAM Journal on Financial Mathematics, 7:1, 642-673 | 2016 |
| Nguyet Nguyen and G. Okten | The acceptance-rejection algorithm for low-discrepancy sequences | Monte Carlo Methods and Applications, 22:2, 133-148 | 2016 |
| Wanwan Huang, B. Ewald, G. Okten | CAM Stochastic Volatility Model for Option Pricing | Mathematical Problems in Engineering, Vol 2016, http://dx.doi.org/10.1155/2016/5496945 | 2016 |
| A. Kercheval and Y. Zhang | Modeling high-frequency limit order book dynamics with support vector machines | Quantitative Analystitative Finance | 2015 |
| Linlin Xu and G. Okten | High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods | Quantitative Analystitative Finance | 2015 |
| Wei Yuan, Ahmet Goncu, and G. Okten | Estimating Sensitivities of Temperature Based Weather Derivatives | Applied Economics, 47:19, 1942-1955. | 2015 |
| Ahmet Goncu and G. Okten | Uniform point sets and the collision test | Journal of Computational and Applied Mathematics, 259, 798-804. | 2014 |
| Ahmet Goncu and G. Okten | Efficient Simulation of a Multi-factor Stochastic Volatility Model | Journal of Computational and Applied Mathematics, 259, 329-335. | 2014 |
| P. Beaumont, Y. Guan, A. Kercheval | Complex Dynamics in Equilibrium Asset Pricing Models with Boundedly Rational, Heterogeneous Agents | Complexity, 19:3, 38-55 | 2014 |
| P. Garreau and D. Kopriva | A spectral element framework for option pricing under general exponential Levy processes | J. of Scientific Computing, 57:2, 390-413 | 2013 |
| D. Bayazit, C. A. Nolder | Sensitivities of Options via Malliavin Calculus: Applications to Markets of exponential Variance Gamma and Normal Inverse Gaussian processes | Quantitative Analystitative Finance, 13:8, 1257-1287 | 2013 |
| P. Beaumont, A.J. Culham, A. Kercheval | Asset Market Dynamics in Equilibrium Models with Heterogeneous Agents: Analytical Results | Advances in Economics and Business, 1:2, 49-56 | 2013 |
| H. Huang, A. Kercheval | A generalized birth-death stochastic model for high-frequency order book dynamics | Quantitative Analystitative Finance, 12:4, 547-557 | 2012 |
| G. Okten, Manan Shah, Y. Goncharov | Random and Deterministic Digit Permutations of the Halton Sequence | Monte Carlo and Quasi-Monte Carlo Methods 2010, 609-622. Springer, Berlin, Heidelberg | 2012 |
| A. Kercheval, Y. Liu | Risk forecasting with GARCH, skewed t distributions, and multiple timescales | Handbook of Modeling High-Frequency Data in Finance, Wiley, ch 7, 163-218 | 2012 |
Placement of recent graduates in Financial Mathematics Details
| Name | Graduation date | Title | Location |
|---|---|---|---|
| Shreya Bose | PhD, 2023 | Quant Analyst | Wells Fargo |
| Zishi Feng | PhD, 2022 | Risk Analyst | Citibank, Tampa |
| Hubeyb Gurdogan | PhD, 2021 | CDAR Postdoc | UC Berkeley |
| Xiaoyu Wang | PhD, 2021 | Postdoc | Washington University in St. Louis |
| Heting Yan | PhD, 2020 | Data Scientist | Microsoft |
| Arun Polala | PhD, 2020 | Quantitative Analyst | Wells Fargo, NYC |
| Jamie Fox | PhD, 2020 | Quantitative Analyst | Wells Fargo, Charlotte |
| Nicholas Dunn | MS, 2020 | Model Validation Analyst | BBVA Compass |
| Nicholas Di Egidio | MS, 2020 | Financial Solutions Senior Analyst | Citibank, Tampa |
| Alex Claffey | MS, 2020 | Business Intelligence & Analytics Senior Analyst | Raymond James, St Pete, FL |
| Navid Salehy | PhD, 2019 | Assistant Professor | University of New Orleans |
| Nima Salehy | PhD, 2019 | Adjunct Faculty | Louisiana Tech University |
| Andrey Manakov | PhD, 2019 | Group Lead | Citibank, Tampa |
| Calen Jackman | MS, 2019 | Financial Systems Analyst | L3Harris, Palm Bay, FL |
| Connor Bush | MS, 2019 | Actuary | Ernst & Young, Dallas |
| Chase Heafner | MS, 2019 | Pricing Analyst | Transportation Insight |
| Daniel Gonzalez | MS, 2019 | PhD Student | Computer Science, University of Notre Dame |
| William Cullen | MS, 2019 | Financial Specialist | Flowers Foods & Subsidiaries |
| Hua-Yi Lin | PhD, 2018 | Quantitative Associate | Wells Fargo, Charlotte |
| Debanjana Dey | MS, 2018 | PhD Student | Finance Department, University of Central Florida |
| Tyler Allee | MS, 2018 | PhD Student | Department of Economics, Florida State University |
| Othniel Ashidam | MS, 2018 | Jr. Business Intelligence Analyst | SharpSpring Inc., Gainesville |
| Tian Chen | MS, 2018 | Business Analyst | Sinocontech, Cambridge MA |
| Chelsea Humphreys | MS, 2018 | Actuarial Assistant | Mutual of Omaha, Omaha, Nebraska |
| Jae Hyun Jo | MS, 2018 | Senior Manager | Financial Supervisory Service, Seoul, Korea |
| Patrick Mangan | MS, 2018 | Quantitative Financial Analyst | Southern Company, Atlanta | Zailei Cheng | PhD, 2018 | Quantitative Risk Analyst | Citibank, Tampa |
| Neda Moinian | MS, 2018 | Instructor | University of New Orleans |
| Benjamin Weber | MS, 2018 | PhD Student | Department of Mathematical Sciences, Carnegie Mellon University |
| Jiawei Yu | MS, 2018 | Ops Specialist - trade settlement | Brown Brothers Harriman, Jersey City |
| Tushar Makhija | MS, 2017 | Actuarial Analyst | Milliman, Atlanta |
| Margarita Mangones | MS, 2017 | Actuary | BBVA Seguros Vida, Colombia |
| Samuel Miller | MS, 2017 | Actuarial Analyst | Capital Health Plan, Tallahassee |
| Suyog Shelar | MS, 2017 | Senior Consultant | Key Bank, Cleveland |
| Emma Svensson | MS, 2017 | Assistant Swim Coach | FSU Athletics |
| Jiani Wang | MS, 2017 | Data Scientist | Ford Motor Company, Dearborn |
| Xuchang Zhang | MS, 2017 | Intern | Guosen Securities, Shenzhen, China |
| Yuanda Chen | PhD, 2017 | Associate | Goldman Sachs, NYC |
| David Mandel | PhD, 2017 | Associate | JP Morgan, NYC |
| Yu-Ying Tzeng | PhD, 2017 | Assistant Professor | Department of Risk Management and Insurance, National Cheng-Chi University, Taiwan |
| Jian Wang | PhD, 2017 | Senior AI Research Scientist | Byton, Santa Clara |
| ChenChen Zhou | PhD, 2017 | Quantitative Analyst | Wells Fargo, Charlotte |
| Wan-Yu Tsai | PhD, 2017 | Quantitative Finance Analyst | Bank of America, Charlotte |
| Morgan Weiss | MS, 2017 | Quantitative Analyst | Aspen Capital, Portland |
| David Kirby | MS, 2016 | Adjunct Professor | Santa Fe College, Gainseville |
| Yu-Cheng Lin | MS, 2016 | Consultant | KPMG Taiwan |
| Jeremiah Pack | MS, 2016 | Health Actuarial Analyst | Milliman, Atlanta |
| Noah Schmidt | MS, 2016 | Math Specialist, TCC Learning Commons | Tallahassee Community College, Tallahassee |
| Chun-Yuan Chiu | PhD, 2016 | Quantitative Analyst | Bank of America - Merrill Lynch, NYC |
| Fangxi Gu | PhD, 2016 | Quantitative Analyst | High-Flyer Quant, Hangzhou, China |
| Koudiao Yao | PhD, 2016 | Modeling Analyst | The Cincinnati Insurance Companies |
| Calandra Brazile | MS, 2015 | MBA student | University of Texas Dallas |
| Anthony Wills | PhD, 2015 | Quantitative Analyst | Southern Company, Atlanta |
| Dawna Jones | PhD, 2015 | Quantitative Analyst | Wells Fargo, Charlotte |
| Wei Yuang | PhD, 2015 | Quantitative Analyst | Wells Fargo, Charlotte |
| Linlin Xu | PhD, 2015 | Quantitative Analyst | Barclays, NYC |
| Erika Fedorko | MS, 2015 | Actuarial Analyst | Aon, Los Angeles |
| Danielle Ireton | MS, 2015 | Actuarial Analyst | RSUI Group, Atlanta |
| Yi Ji | MS, 2015 | Business Intelligence Manager | Vibrant America Clinical Lab, San Carlos |
| Oktay Akpolat | MS, 2015 | Ph.D. Student | Department of Statistics, Florida State University |
| Mingfei Qiu | MS, 2015 | Ph.D. Student | Department of Statistics, Florida State University |
| Nguyet Nguyen | PhD, 2014 | Assistant Professor | Youngstown State University |
| Ahmed Derar Islim | PhD, 2014 | Credit Quantitative Analyst | Bank of America - Merrill Lynch, NYC |
| Ming Zhu | PhD, 2014 | Quantitative Analyst | Bank of America - Merrill Lynch, NYC |
| Johnny Petit | MS, 2014 | Instructor | Florida A&M University, Tallahassee |
| Chih-Han Hsu | MS, 2014 | Money Market Trader | Cathay United Bank, Taiwan |
| Pierre Garreau | PhD, 2013 | Associate Quantitative Finance Analyst | Deutsche Bank, Jacksonville |
| Yuan Zhang | PhD, 2013 | Tech Software Developer | Yahoo! |
| Motoi Namihira | PhD, 2013 | Quantitative Analyst | Southern Company, Atlanta |
| Ibukun Amusan | PhD, 2013 | Assistant Professor | Kentucky State University, Frankfort |
| Jian Geng | PhD, 2013 | Quantitative Associate | Wells Fargo, Charlotte |
| Wanwan Huang | PhD, 2013 | Assistant Professor | Roosevelt University, Chicago |
| Tan Deng | MS, 2013 | Proprietary Equities Trader | Wall Street Trading, LLC |
| Haomiao (Andrew) Fan | MS, 2013 | Quantitative Risk Analyst | Citibank, Tampa |
| Thomas Grivakis | MS, 2013 | Actuarial Analyst | Wakely Consulting Group |
| Ruite Guo | MS, 2013 | PhD Student | Department of Statistics, FSU |
| Yaoliang He | MS, 2013 | Quantitative Equities Research Associate | Principal Financial Group |
| Naman Jani | MS, 2013 | Analyst, EFT Trader | Deutsche Bank, Jacksonville |
| Haoyue Jin | MS, 2013 | Modeling Analyst | Citibank, Tampa |
| Namsuk Lee | MS, 2013 | Research Assistant | KTB Investment & Securities Co., Ltd., Seol, Korea |
| Xin Liu | MS, 2013 | Software Designer | Southeastern Data Cooperative, Atlanta |
| Jun Meng | MS, 2013 | Pricing Science Intern | Prorize LLC |
| Gene Paul San Valentin | MS, 2013 | Assistant Actuary | AIG |
| Li Zhang | MS, 2013 | Market Reserch Analyst | Amica Mutual Insurance Co. Westborough |
| Sen Zhang | MS, 2013 | Statistical Quant Analyst | SunTrust, Atlanta |
| Sheng Zheng | MS, 2013 | Equity Research Associate | Deutsche Bank, Shanghai, China |
| Joseph Boor | PhD, 2012 | Actuary | Florida Office of Insurance Regulation, Tallahassee |
| He Huang | PhD, 2012 | Quantitative Analyst | Alliance Bernstein, NYC |
| Yang Liu | PhD, 2012 | Portfolio Manager | Florida State Board of Administration, Tallahassee |
| Jinhua Yan | PhD, 2012 | Asistant Vice President | Citibank, Tampa |
| Yi Dai | MS, 2012 | Managing Director | BOMINWELL Systems Engineering Co. Ltd, Shenzhen, China |
| Fan Fei | MS, 2012 | Data Scientist | Comrise, NJ |
| Wei Li | MS, 2012 | PhD Student | Department of Mathematics, Washington State University |
| Kaizhe Liu | MS, 2012 | Analyst | Pengyuan Credit Rating Co Ltd, China |
| Chen Luo | MS, 2012 | Trader | New Technology Solutions, Jersey City |
| Bei Wang | MS, 2012 | Data Scientist | Liberty Mutual Insurance, Seattle |
| Jie (Amy) Zhao | MS, 2012 | Actuarial Associate | ING, Philadelphia |
| Jimmy Doyle | MS, 2012 | Actuarial Analyst | Aetna, Tampa |
| Tim Lewkow | MS, 2012 | Integration Engineering Manager | Ripple, San Francisco |
| Yu Tian | MS, 2011 | P&C Solutions Manager | Swiss Re, Beijing, China |
| Stephen Brouillette | MS, 2011 | Actuarial Analyst | G.S. Curran & Co., Baton Rouge |
| Abdullah Makki | MS, 2011 | PhD Student | Hospitality Management, University of Central Florida |
| Jonathan Yeatman | MS, 2011 | Portfolio Manager | State Board of Administration, Tallahassee |
| Joel Douglas | MS, 2011 | Associate - Pension Actuary | Fidelity Investments, Dallas |
| Saleem Hameer | MS, 2011 | Acquisitions | Offerpad, Charlotte |
| Jingyi Xiao | MS, 2011 | PhD Student | Department of Statistics, FSU |
| Haseeb Khawaja | MS, 2011 | Senior Consultant | Deloitte, Houston |
| Yuanying Guan | PhD, 2011 | Assistant Professor | Department of Mathematics and Actuarial Science, Indiana University Northwest |
| Matthew Willyard | PhD, 2011 | Associate Teaching Professor | Department of Mathematics, The Pennsylvania State University |